Search for tag: "probability"
Lecture 24: change of probabilityAbsolutely continuous probability measures. Measures defined by a density. The Radon-Nykodym theorem. Expectation under the new probability.
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 6Random walk approximation of Brownian motion. Tree methods. Computationally simple trees: the case of a constant diffusion and the general case. How to parallelize the algorithm.
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 5A general weak convergence result for diffusion processes. Monte Carlo simulation of a diffusion process: the Euler scheme. Discretization error and Monte Carlo error. How to parallelize the…
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 4Brownian motion. Nondifferentiability of paths. The stochastic integral and the Ito isometry. Ito processes and Ito formula. Stochastic differential equations.
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 3Markov chains: definition and examples. Simulation of a Markov chain. Simulation of Markov chains in the ergodic case.
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 2Variance reduction methods in Monte Carlo: antithetic variables, control variates, importance sampling. Examples and implementation
From Tiziano Vargiolu
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Numerical Methods in Probability - lecture 1Introduction to the course. Monte Carlo methods. Simulation of random variables. Error estimation with Monte Carlo methods.
From Tiziano Vargiolu
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MathSport International 2017: Explaining Success in Sports Competitions, G.Tutz und G. SchaubergerKeynote Tuesday 27 June 09:00 ---- Explaining Success in Sports Competitions: Paired Comparison Methods with Explanatory Variables Speakers: Gerhard TutzProfessor em. at…
From Omar Trevisan
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MathSport International 2017: Sports & Wellbeing with Technology & DataKeynote Monday 26 June 14:00 ---- Sports & Wellbeing with Technology & Data Speakers: Fabrizio Renzi:Direttore Tecnologia e Innovazione, IBM ItaliaPietro LeoExecutive Architect - IBM Italy…
From Omar Trevisan
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MathSport International 2017: Mathematical models for sport: America's Cup, Olympic Rowing and moreKeynote Wednesday 28 June 14:00 ---- Mathematical models for sport: America's Cup, Olympic Rowing and more Speaker: Nicola ParoliniProfessor of Numerical Analysis at the MOX Laboratory -…
From Omar Trevisan
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